A Comparison of EVT and Standard VaR Estimations
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31110%2F12%3A00038528" target="_blank" >RIV/61384399:31110/12:00038528 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
A Comparison of EVT and Standard VaR Estimations
Original language description
Main topics of the document: risk measurement; value at risk; extreme value theory; GARCH; expected shortfall; backtesting
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F09%2F0732" target="_blank" >GA402/09/0732: Market Risk and Financial Derivatives</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Bulletin of the Czech Econometric Society
ISSN
1212-074X
e-ISSN
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Volume of the periodical
19
Issue of the periodical within the volume
29
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
27
Pages from-to
1-27
UT code for WoS article
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EID of the result in the Scopus database
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